NaughtyPines
Long

OPENING: XLE JULY 20TH 67 LONG/APRIL 27TH 71 SHORT CALL DIAGONAL

AMEX:XLE   SPDR SELECT SECTOR FUND - ENERGY SELECT SECTOR
... for a 3.14/contract debit (78.5% width of spread).

Another neutral to bullish assumption setup with plenty of time to reduce cost basis. Currently, it looks like you could get a better fill than I did (mid currently at 3.00, 75% of the width of the spread, which is what you're looking for in these setups).

Here, I'm shooting for 20% of what I put the trade on for.

Metrics:

Max Profit: .86/contract*
Max Loss: 3.14/contract
Theta: .37
Delta: 32.33

* -- Assuming no rolls of the short call and finish of the underlying above the short call strike at expiry.
** -- Assuming no rolls of the short call and finish of the underlying below the long call strike at expiry.
Trade active: Well, the bottom fell out of that fairly quickly. Rolling the April 27th 71 short call to the May 18th 70 for a .52/contract credit. Cost basis is now 3.18 - .52 = 2.66.
Trade active: Continued weakness ... . Rolled the May 18th 70 down to the May 18th 69 (30 delta) for a .23/contract credit; cost basis at 2.43. Although I've rolled down the spread to a two-wide (which is narrower than my cost basis), we haven't seen $69 for a while here ... .
Trade closed manually: Rather than attempt to "fix" my overly aggressive roll-down to the 69 strike, I'm covering the entire diagonal here for 2.35, resulting in a small loss (.08/$8). I'll re-up on weakness and try to be a little more patient, a little less knee jerk next time around.
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